OpenVDB file and Blender Cycles
In many cases you should have at least some basic grids included to render a decent result. (Here I'm using a vdb I have on my system as an example, you should be able to follow along just fine)

Firstly, check what grids you have available here:



Second check the step size setting in the render section of the volume object. As it appears to currently be too coarse, try to lower it some. Perhaps it will help.
See the documention on the Volume Object




Using the grids we have available, you can now build a nice material like this(based on your comments, this particular vdb has more grids available, so could have a more complex material if desired):

click to enlarge

In this example, the render looks like this: